Volatility Analysis of ESG-integrated Japanese Equity Indices

ニホン　カブシキ　ヲ　タイショウ　トシタ　 ESG　ソウゴウガタ　シスウ　ノ　ボラティリティ　ブンセキ

Saito, Amane

ESG

ESG 総合型指数

市場アノマリー（非対称効果, 休日効果, 曜日効果）

In this paper, we compare the return and volatility of ESG integrated indices to conventional market capitalization weighted indices, using Stochastic Volatility (SV) model. As a result of the analysis, it was confirmed that the return of the portfolio based on market capitalization weighted indices is affected by the U.S. stock market. As for the impact of market anomalies on volatility, asymmetry effect, holiday effect, turn?of-month effect, and U.S. volatility spillover effect are confirmed, indicating that volatility increased in each phase. In the ESG integrated portfolio, the return is also affected by the U.S. stock market, but the return of the previous business day has a significantly negative impact, indicating that the return tends to rise (fall) immediately after it falls (rises), and that the return is unlikely to move in one direction in a short-term. In addition, the coefficient of the asymmetric effect of volatility is found to be significantly smaller than that of the portfolio based on market capitalization weighted indices. Therefore, integrating ESG ratings of companies, for example, it was confirmed that the return would be less likely to be negative continuously and that the volatility would be suppressed during a stock market crash.